This is the first in a series of blog posts analysing and discussing monthly consumer price index time series in the former Yugoslav republics, now six independent states.

Aims

The aims of these blog posts are the following:

• To describe main features of monthly consumer price index time series
• To model series using popular time series models
• To forecast future consumer price index and inflation values
• To compare forecasting performance of different time series models

Dataset

The dataset under examination for all countries comes from the International Monetary Fund (http://data.imf.org/), Eurostat database (https://ec.europa.eu/eurostat/data/database). A few last indexes were obtained from the national statistical offices. Six time series are monthly consumer price index (base 2015 = 100) and another six time series are growth rates, i.e. inflation series calculated using the following formula: 100*log(cpi_t/cpi_t-1).

The following list gives for each country: name, (acronym), and the period covered:

Bosnia and Herzegovina (BiH): 2008M1 to 2018M8 Croatia (Cro): 1998M1 to 2018M8 Macedonia (Mac): 2000M1 to 2018M8  Montenegro (Mon): 2011M1 to 2018M8 Serbia (Ser): 2000M1 to 2018M8  Slovenia (Slo): 1998M1 to 2018M8.

Dataset description

Dataset is available for download in two formats: csv and RData.

Column name in csv file uses the following format for the first six series (consumer price index): Zzz, where Zzz is the acronym for the country (BiH, Cro, Mac, Mon, Ser and Slo). The last six series column name DZzz are growth rates, i.e. inflation series for the country (DBiH, DCro, DMac, DMon, DSer and DSlo). Period covered in the csv file: 1998M1 to 2018M8.

Those familiar with R could download and use RData file. This file contains time series in different formats, but the time series used directly in the next blog posts have names in the following format: Zzz, where Zzz is the acronym for the country (BiH, Cro, Mac, Mon, Ser and Slo). There are also six series with column name DZzz (inflation series) for the country (DBiH, DCro, DMac, DMon, DSer and DSlo). These are multivariate time series objects containing consumer price index and inflation time series for each country. This RData file contains also a few other time series objects in different format (a, Ats, Azoo, Azoo.name, Bts, and Bts.name). In the next blog post line graphs for each country monthly inflation time series will be presented and discussed.